Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1399
Annualized Std Dev 0.2450
Annualized Sharpe (Rf=0%) 0.5712

Row

Daily Return Statistics

Close
Observations 3629.0000
NAs 1.0000
Minimum -0.1384
Quartile 1 -0.0066
Median 0.0012
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0086
Maximum 0.1055
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0011
Variance 0.0002
Stdev 0.0154
Skewness -0.4402
Kurtosis 5.4146

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0101
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.5037
Historical VaR (95%) -0.0245
Historical ES (95%) -0.0373
Modified VaR (95%) -0.0249
Modified ES (95%) -0.0467
From Trough To Depth Length To Trough Recovery
2007-12-27 2009-03-09 2011-04-26 -0.5037 839 301 538
2015-07-20 2016-02-08 2017-09-28 -0.4234 555 141 414
2018-10-01 2018-12-24 2020-02-18 -0.3422 347 59 288
2020-02-20 2020-03-16 2020-04-20 -0.2790 42 18 24
2011-07-08 2011-10-03 2012-07-02 -0.2423 248 61 187

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -1.4 1.1 -0.4 -0.7
2007 0.8 -0.2 0.8 0.3 0.2 -0.7 0.9 0.6 1 -1.1 0 -0.8 1.9
2008 1.9 -3 2.7 0.1 0.2 0 0.3 -1 -1.3 1.5 -7.8 1 -5.7
2009 -0.5 -3.1 0.2 -0.7 2 1.3 -0.3 -1.6 -2.1 -1.5 1.4 -1.1 -6
2010 0.3 1.4 0.6 -2.1 -2.7 -2 1.4 2.9 -0.2 -0.7 1.7 -0.8 -0.3
2011 1.6 -0.5 0.8 -0.8 -1.5 1.7 -2.9 -1.3 -2 -3 0.5 -0.3 -7.4
2012 1.7 0.8 0.7 0.2 -2.8 2.6 -0.5 0.2 0.7 1.3 -0.2 0.4 5
2013 1 0.6 -0.8 -0.6 -0.8 0.8 0.7 -0.8 1.2 0.2 0.2 0.1 1.9
2014 -0.6 -2.6 1.6 1.3 -0.9 1.7 0.1 0.6 -1.9 0.8 -1.6 -0.4 -2.2
2015 -1.6 -1.1 -0.4 2.5 -0.3 -0.2 1.2 -2.7 0.5 0.6 0.3 -0.9 -2.2
2016 0 2.8 1.5 -1.2 0.7 0.9 -0.1 0 0.7 0.2 -2.4 -0.3 2.7
2017 0.4 1.2 0.7 1.2 2.2 -0.6 -1.5 0.4 1 -2 -0.7 -1.8 0.4
2018 0.6 -1.6 0.9 1.4 1.9 0.7 1.3 1 -1.6 3.5 1 1.8 11.3
2019 0 1.5 -1 -1.4 -1.4 0.3 -0.9 -1.4 -1.7 1.5 -0.3 0.4 -4.3
2020 -0.9 -1 -4.5 -1.5 1.1 -0.5 -0.9 -1.6 0.8 -2.1 0.8 -0.5 -10.3
2021 4.3 4.1 3.1 NA NA NA NA NA NA NA NA NA 11.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart